Time: 16:30--18:00
Speaker: Arturo Kohatsu-Higa
Title:Optimal Transport for the Euler scheme.
Location: W.W. 7th-floor, 4th-lab..
Abstract:
We consider the Euler-Maruyama scheme and prove that the Wasserstein
distances between the scheme and its limit
is better than the strong rate of convergence \sqrt{n}, where n is
the number of time partitions.